NIFTY Summary:
- Oct 11000 calls added 4,16,025 contracts.
- Oct 10000 calls shed 3,46,500.
- Oct 9900 puts added 11,94,750.
- Oct 9100 puts shed 88,725.
Our trend model indicates a SHORT on the NIFTY and LONG on the BANKNIFTY.
Avg. True Range
| NIFTY.50 | NIFTY.BANK | |
|---|---|---|
| 3 | 103.06 | 258.65 |
| 5 | 104.70 | 276.48 |
| 10 | 98.51 | 266.03 |
| 20 | 90.73 | 246.30 |
| NIFTY 50 | NIFTY BANK | |
|---|---|---|
| TrueRange | 87.65 | 171.80 |
| TrueHigh | 9938.30 | 24230.45 |
| TrueLow | 9850.65 | 24058.65 |
OCT NIFTY OI
OCT BANKNIFTY OI
NIFTY Weighted Avg. Open Interest
OCT NIFTY Volatility
OCT BANKNIFTY Volatility
Dotted lines indicated actual underlying volatility. Solid lines are IVs.
VIX Density Plot
5-day forecast based on ARMA(0,2)+GARCH(1,1) model:
| VIX | 13.07 | 14.62 | 15.95 | 15.95 | 15.95 |
| σ | 1.82 | 1.85 | 1.87 | 1.90 | 1.92 |
Marketwide OI
Securities under ban today: IBREALEST, JPASSOCIAT, JSWENERGY.
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